Intro
In the backtesting analysis, I have established several different profitable strategies for timing entry/exits. Visit the ETH page to see how these signals were identified.
Simple moving average (SMA)
Exponential moving average (EMA)
SMA crosses
EMA crosses
Directional movement index (DMI)
True strength index (TSI) BEST
Stochastic oscillator (stoch)
Double RSI
Donchian channel
Know sure thing (KST)
Ensembl indicator
This script will examine the price action and these trade signals just before the daily close. If the signal is TRUE, it is bullish and if FALSE it is bearish. When there is a switch from bearish to bullish it is a buy signal and when it switches from bullish to bearish it is a sell signal. This HTML is updated just before the daily close each day, but push notifications for any trade signals are also sent by push bullet.
To receive these signals in real-time, subscribe to the following channels - it’s free for a limited time!
https://www.pushbullet.com/channel?tag=eth_signal
If you need some help to design your own trading signals/strategies, I am happy to help for a fee. email me at mark.ziemann{αt}gmail.com for any enquiries/suggestions/feedback.
This report is distributed for FREE under the MIT licence, but if you find it useful, consider a small tip.
Reminder: this analysis is not financial advice.
suppressPackageStartupMessages({
library("jsonlite")
library("tidyverse")
library("runner")
library("quantmod")
library("TTR")
library("RPushbullet")
library("kableExtra")
})
TESTING = FALSE
MYNOTE = NULL
mydate <- Sys.time()
attr(mydate, "tzone") <- "UTC"
mydate <- as.Date(mydate)
Get ETH parameters
params <- read.table("https://mdz-analytics.com/coins/ETH/ETH_dat.txt", header=TRUE)
params %>% kbl(caption="optimised backtested parameters") %>% kable_styling("hover", full_width = F)
| indicator | parameter | meanROI | totalROI | ntrades | ndays | xhodl |
|---|---|---|---|---|---|---|
| SMA | 34 | 1.722584 | 25090.450 | 69 | 2608 | 52.19604 |
| EMA | 17 | 1.151307 | 11986.489 | 135 | 2608 | 24.93567 |
| SMAcross | 21,12 | 1.492163 | 29253.179 | 55 | 2608 | 60.85583 |
| EMAcross | 16,13 | 2.532101 | 32319.366 | 32 | 2608 | 67.23447 |
| DMI | 16 | 1.842772 | 15390.796 | 63 | 2608 | 32.01771 |
| DC | 11 | 1.496811 | 25027.537 | 53 | 2608 | 52.06516 |
| TSI | 93,14,19 | 1.482050 | 10018.496 | 40 | 2608 | 20.84163 |
| stoch | 27,49,2 | 1.168702 | 11441.323 | 92 | 2608 | 23.80156 |
| RSI2 | 103,107 | 1.415959 | 7572.955 | 62 | 2608 | 15.75413 |
| KST | 1.5,0.56,24 | 1.372597 | 14250.353 | 51 | 2608 | 29.64522 |
| Ensemble | SMAcross,EMA,DMI,stoch,RSI2,DC,KST,4 | 1.370224 | 56395.454 | 74 | 2608 | 149.73742 |
Get ETH price data
Obtaining ETH price data (daily) for the last 300 days and today’s price.
URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=ETH&convert=USD&interval=daily&count=300"
download.file(URL,destfile="ethdat.txt")
ethdat <- fromJSON("ethdat.txt")
price <- ethdat$data$quotes
price <- data.frame( as.Date(price$time_close) , price$quote$USD$high, price$quote$USD$low, price$quote$USD$close)
colnames(price) <- c("date","high","low","close")
URL="https://web-api.coinmarketcap.com/v1/cryptocurrency/ohlcv/historical?symbol=ETH&convert=USD&interval=hourly&time_period=hourly&count=11"
download.file(URL,destfile="ethdat.txt")
ethdat <- fromJSON("ethdat.txt")
price2 <- ethdat$data$quotes
price2 <- data.frame( as.Date(price2$time_close) , price2$quote$USD$high, price2$quote$USD$low, price2$quote$USD$close,stringsAsFactors=FALSE)
colnames(price2) <- c("date","high","low","close")
high <- max(price2[,2])
low <- min(price2[,3])
close <- price2[nrow(price2),4]
df <- data.frame(date=mydate,high=high,low=low,close=close,stringsAsFactors=FALSE)
price <- rbind(price,df)
tail(price) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close |
|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 |
if ( TESTING == TRUE) {
price[nrow(price),"Close"] <- price[nrow(price),"Close"] * 2
}
ETH SMA indicator
Now to determine whether ETH has crossed the SMA line.
price2 <- price
n <- as.numeric(params[params$indicator == "SMA",2])
price2$ma <- SMA(Cl(price2),n=n)
price2$signal <- price2$close > price2$ma
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma | signal |
|---|---|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 | 1537.213 | FALSE |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 | 1527.558 | FALSE |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 | 1517.927 | FALSE |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 | 1508.311 | FALSE |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 | 1497.751 | FALSE |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 | 1492.497 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
eth_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
eth_signal="SELL"
}
} else {
eth_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_SMA=TRUE
} else {
ens_SMA=FALSE
}
message(paste("ETH SMA signal:",eth_signal))
## ETH SMA signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="ETH w SMA")
grid()
lines(price2$ma~ as.Date(price2$date) ,col="red")
if ( eth_signal != "NONE") {
MYNOTE <- paste("The ETH SMA signal is", eth_signal,".")
}
ETH EMA indicator
Now to determine whether ETH has crossed the EMA line.
price2 <- price
n <- as.numeric(params[params$indicator == "EMA",2])
price2$ma <- EMA(Cl(price2),n=n)
price2$signal <- price2$close > price2$ma
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma | signal |
|---|---|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 | 1439.071 | FALSE |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 | 1422.977 | FALSE |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 | 1413.237 | FALSE |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 | 1404.003 | FALSE |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 | 1396.603 | FALSE |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 | 1389.107 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
eth_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
eth_signal="SELL"
}
} else {
eth_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_EMA=TRUE
} else {
ens_EMA=FALSE
}
message(paste("ETH EMA signal:",eth_signal))
## ETH EMA signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="ETH EMA")
grid()
lines(price2$ma~ as.Date(price2$date) ,col="red")
if ( eth_signal != "NONE") {
MYNOTE <- paste("The ETH EMA signal is", eth_signal,".")
}
ETH SMA cross indicator
The SMA cross is a reasonably good strategy.
price2 <- price
n <- as.numeric(unlist(strsplit(params[params$indicator == "SMAcross",2],",")))
n1 <- n[1]
n2 <- n[2]
price2$ma1 <- SMA(Cl(price2),n=n1)
price2$ma2 <- SMA(Cl(price2),n=n2)
price2$signal <- price2$ma2 > price2$ma1
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma1 | ma2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 | 1516.472 | 1404.435 | FALSE |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 | 1502.975 | 1380.555 | FALSE |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 | 1489.553 | 1355.602 | FALSE |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 | 1478.524 | 1343.804 | FALSE |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 | 1464.595 | 1335.885 | FALSE |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 | 1450.014 | 1324.167 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
eth_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
eth_signal="SELL"
}
} else {
eth_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_SMAcross=TRUE
} else {
ens_SMAcross=FALSE
}
message(paste("ETH SMA cross signal:",eth_signal))
## ETH SMA cross signal: NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="ETH w SMA cross")
grid()
lines(price2$ma1~ as.Date(price2$date) ,col="red")
lines(price2$ma2~ as.Date(price2$date) ,col="blue")
if ( eth_signal != "NONE") {
MYNOTE <- paste(MYNOTE, "The ETH SMA cross signal is", eth_signal,".")
}
ETH EMA cross indicator
The EMA cross is a moderately profitable strategy.
price2 <- price
n <- as.numeric(unlist(strsplit(params[params$indicator == "EMAcross",2],",")))
n1 <- n[1]
n2 <- n[2]
price2$ma1 <- EMA(Cl(price2),n=n1)
price2$ma2 <- EMA(Cl(price2),n=n2)
price2$signal <- price2$ma2 > price2$ma1
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | ma1 | ma2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 | 1432.059 | 1408.395 | FALSE |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 | 1415.843 | 1392.083 | FALSE |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 | 1406.369 | 1383.974 | FALSE |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 | 1397.400 | 1376.282 | FALSE |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 | 1390.342 | 1370.729 | FALSE |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 | 1383.141 | 1364.787 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
eth_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
eth_signal="SELL"
}
} else {
eth_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_EMAcross=TRUE
} else {
ens_EMAcross=FALSE
}
message(paste("ETH EMA cross signal is",eth_signal))
## ETH EMA cross signal is NONE
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="ETH EMA cross")
grid()
lines(price2$ma1~ as.Date(price2$date) ,col="red")
lines(price2$ma2~ as.Date(price2$date) ,col="blue")
if ( eth_signal != "NONE") {
MYNOTE <- paste(MYNOTE, "The ETH EMA cross signal is", eth_signal,".")
}
ETH DMI indicator
Directional movement indicator is a good approach to identify trend changes.
n <- as.numeric(params[params$indicator == "DMI",2])
dmi.adx <- ADX(price[,c("high","low","close")],n=n)
price2 <- cbind(price,dmi.adx)
price2$signal <- dmi.adx[,1] > dmi.adx[,2]
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | DIp | DIn | DX | ADX | signal |
|---|---|---|---|---|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 | 12.38041 | 29.35322 | 40.66936 | 24.05796 | FALSE |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 | 11.89462 | 30.71656 | 44.17135 | 25.31505 | FALSE |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 | 11.60114 | 29.57035 | 43.64478 | 26.46066 | FALSE |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 | 15.17572 | 27.75453 | 29.30057 | 26.63815 | FALSE |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 | 14.28080 | 29.00146 | 34.01082 | 27.09894 | FALSE |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 | 13.76129 | 27.94643 | 34.01082 | 27.53093 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
eth_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
eth_signal="SELL"
}
} else {
eth_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_DMI=TRUE
} else {
ens_DMI=FALSE
}
message(paste("ETH DMI signal:",eth_signal))
## ETH DMI signal: NONE
price2 <- as.data.frame(price2)
par(mfrow=c(2,1))
plot(price2$close~as.Date(price2$date),type="l",
xlab="Date",ylab="price (USD)",main="ETH USD price")
grid()
plot(price2$DIp~as.Date(price2$date),type="l", col="blue",
xlab="Date",ylab="price (USD)",main="ETH DMI")
grid()
lines(price2$DIn ~ as.Date(price2$date) ,col="red")
if ( eth_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"ETH DMI signal is", eth_signal,".")
}
ETH TSI indicator
True Strength Indicator is one of the more profitable approaches. Its success lies in how it changes rapidly when momentum shifts. For most coins, this indicator performs “best” in backtesting analysis, which means it should carry relatively more weight than other indicators.
n <- as.numeric(unlist(strsplit(params[params$indicator == "TSI",2],",")))
n1 <- n[1]
n2 <- n[2]
ns <- n[3]
TSI <- function(x, n.first = 25, n.second = 13, n.signal = 7) {
#True Strength Indicator
#https://school.stockcharts.com/doku.php?id=technical_indicators:true_strength_index
x <- try.xts(x, error = as.matrix)
pc <- x - lag.xts(x, na.pad = T) #force lag.xts to get na padding
dspc <- EMA(EMA(pc, n = n.first), n = n.second)
dsapc <- EMA(EMA(abs(pc), n = n.first), n = n.second)
tsi <- 100 * (dspc/dsapc)
signal <- EMA(tsi, n = n.signal)
r <- cbind(tsi, signal)
r <- reclass(r, x)
if (!is.null(dim(r))) colnames(r) <- c("tsi", "signal")
return(r)
}
tsi <- TSI(price$close , n.first = n1, n.second = n2, n.signal = ns )
colnames(tsi) <- c("tsi","sig")
price2 <- cbind(price,tsi)
price2$signal <- tsi[,1] > tsi[,2]
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | tsi | sig | signal |
|---|---|---|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 | -8.881822 | -5.217921 | FALSE |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 | -9.318678 | -5.627997 | FALSE |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 | -9.473622 | -6.012559 | FALSE |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 | -9.629369 | -6.374240 | FALSE |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 | -9.723936 | -6.709210 | FALSE |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 | -9.842663 | -7.022555 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
eth_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
eth_signal="SELL"
}
} else {
eth_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_TSI=TRUE
} else {
ens_TSI=FALSE
}
message(paste("ETH TSI signal:",eth_signal))
## ETH TSI signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(tsi[,1] ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="TSI",main="TSI")
lines(as.Date(price2$date), tsi[,2] , col="red" )
grid()
par(mfrow=c(1,1))
if ( eth_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"ETH TSI signal is", eth_signal,".")
}
ETH stochastic oscillator indicator
Similar to the TSI, the stoch can pinpoint early changes in momentum, however it may give many false positives.
n <- as.numeric(unlist(strsplit(params[params$indicator == "stoch",2],",")))
n1 <- n[1]
n2 <- n[2]
n3 <- n[3]
sto <- stoch(HLC(price), nFastK=n1 , nFastD=n2 , nSlowD=n2 , bounded = TRUE, smooth=n3)
price2 <- cbind(price,sto)
price2$signal <- price2$fastK > price2$fastD
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | fastK | fastD | slowD | signal |
|---|---|---|---|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 | 0.1688066 | 0.4137845 | 0.6340414 | FALSE |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 | 0.1381414 | 0.3983319 | 0.6301123 | FALSE |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 | 0.1537493 | 0.3824714 | 0.6255580 | FALSE |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 | 0.1860974 | 0.3676802 | 0.6204086 | FALSE |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 | 0.1879806 | 0.3528598 | 0.6146480 | FALSE |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 | 0.1870839 | 0.3371956 | 0.6082457 | FALSE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
eth_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
eth_signal="SELL"
}
} else {
eth_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_stoch=TRUE
} else {
ens_stoch=FALSE
}
message(paste("ETH stoch signal:",eth_signal))
## ETH stoch signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$fastK ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="index",main="stochastic oscillator")
lines(as.Date(price2$date), price2$fastD , col="red" )
grid()
par(mfrow=c(1,1))
if ( eth_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"ETH Stoch signal is", eth_signal,".")
}
ETH double RSI indicator
Double RSI is simply two RSI lines.
n <- as.numeric(unlist(strsplit(params[params$indicator == "RSI2",2],",")))
n1 <- n[1]
n2 <- n[2]
rsi1 <- RSI(price$close,n=n1,maType=EMA)
rsi2 <- RSI(price$close,n=n2,maType=EMA)
price2 <- cbind(price,rsi1,rsi2)
price2$signal <- price2$rsi1 > price2$rsi2
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | rsi1 | rsi2 | signal |
|---|---|---|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 | 44.33661 | 44.34582 | FALSE |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 | 43.98744 | 44.01175 | FALSE |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 | 44.75435 | 44.74491 | TRUE |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 | 44.67556 | 44.66962 | TRUE |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 | 44.81450 | 44.80235 | TRUE |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 | 44.68444 | 44.67823 | TRUE |
today_signal <- price2[nrow(price2),"signal"]
previous_signal <- price2[(nrow(price2)-1),"signal"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
eth_signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
eth_signal="SELL"
}
} else {
eth_signal <- "NONE"
}
if (today_signal==TRUE) {
ens_RSI2=TRUE
} else {
ens_RSI2=FALSE
}
message(paste("ETH RSI signal:",eth_signal))
## ETH RSI signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$rsi1 ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="index",main="double RSI")
lines(as.Date(price2$date), price2$rsi2 , col="red" )
grid()
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(price2$rsi1/price2$rsi2 ~ as.Date(price2$date),type="l",
xlab="Date",ylab="RSI ratio",main="double RSI")
grid()
abline(h=1,lty=2,lwd=2)
par(mfrow=c(1,1))
if ( eth_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"ETH RSI2 signal is", eth_signal,".")
}
ETH Donchian channel indicator
n <- as.numeric(params[params$indicator == "DC",2])
price2 <- price[1:nrow(price)-1,]
dc <- DonchianChannel(price2$close,n=n)
price2$higher <- c(NA,sapply(2:nrow(dc),function(i) {
dc[i,"high"] > dc[(i-1),"high"]
} ))
price2$lower <- c(NA,sapply(2:nrow(dc),function(i) {
dc[i,"low"] < dc[(i-1),"low"]
} ))
price2 <- price2[price2$higher != price2$lower,]
# show changing rows only
price2 <- price2[c(NA,unlist(lapply(2:nrow(price2) , function(i) {
price2$higher[i] != price2$higher[i-1]
}))),]
price2 <- price2[!is.na(price2$higher),]
previous_signal <- price2[nrow(price2),"higher"]
price2 <- price
dc <- DonchianChannel(price2$close,n=n)
colnames(dc) <- c("dchigh","dcmid","dclow")
price2 <- cbind(price2,dc)
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | dchigh | dcmid | dclow |
|---|---|---|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 | 1634.755 | 1443.681 | 1252.608 |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 | 1471.693 | 1362.151 | 1252.608 |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 | 1469.742 | 1361.175 | 1252.608 |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 | 1469.742 | 1361.175 | 1252.608 |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 | 1377.541 | 1315.075 | 1252.608 |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 | 1377.541 | 1315.075 | 1252.608 |
eth_signal="NONE"
# if we in negative territory, check whether time to buy
if ( previous_signal == FALSE ) {
if ( price2[nrow(price2),"dchigh"] > price2[nrow(price2)-1,"dchigh"] ) {
eth_signal="BUY"
}
}
# if we in positive territory, check whether time to sell
if ( previous_signal == TRUE ) {
if ( price2[nrow(price2),"dclow"] < price2[nrow(price2)-1,"dclow"] ) {
eth_signal="SELL"
}
}
if ( eth_signal=="NONE" ) {
today_signal=previous_signal
} else {
if (eth_signal=="BUY") { today_signal = TRUE }
if (eth_signal=="SELL") { today_signal = FALSE }
}
if (today_signal==TRUE) {
ens_DC=TRUE
} else {
ens_DC=FALSE
}
message(paste("ETH DC signal:",eth_signal))
## ETH DC signal: NONE
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price",lwd=2)
grid()
lines(price2$dclow~ as.Date(price2$date),lwd=1.5,col="red")
lines(price2$dchigh~ as.Date(price2$date),lwd=1.5,col="limegreen")
price2 <- tail(price2,100)
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price",lwd=2)
grid()
lines(price2$dclow~ as.Date(price2$date),lwd=1.5,col="red")
lines(price2$dcmid~ as.Date(price2$date),lwd=1.5,col="gray")
lines(price2$dchigh~ as.Date(price2$date),lwd=1.5,col="limegreen")
if ( eth_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"ETH Donchian channel signal is", eth_signal,".")
}
ETH KST indicator
Another high-performing indicator across different price series data.
price2 <- price
n <- as.numeric(unlist(strsplit(params[params$indicator == "KST",2],",")))
nScale <- n[1]
nrocScale <- n[2]
nSigs <- n[3]
kst <- KST(price2$close,n=nScale * c(10, 10, 10, 15) ,
nROC=nrocScale * c(10, 15, 20, 30),
nSig=nSigs)
price2 <- cbind(price2,kst)
price2$KST <- as.numeric(kst[,1]>kst[,2])
tail(price2) %>% kbl(row.names = FALSE) %>% kable_styling("hover", full_width = F)
| date | high | low | close | kst | signal | KST |
|---|---|---|---|---|---|---|
| 2022-09-24 | 1346.255 | 1312.640 | 1317.993 | -78.68506 | -48.57802 | 0 |
| 2022-09-25 | 1333.371 | 1275.628 | 1294.217 | -92.48944 | -49.17170 | 0 |
| 2022-09-26 | 1335.526 | 1282.049 | 1335.320 | -103.65274 | -49.83666 | 0 |
| 2022-09-27 | 1396.892 | 1308.991 | 1330.128 | -114.01886 | -50.85419 | 0 |
| 2022-09-28 | 1351.965 | 1267.869 | 1337.411 | -119.00970 | -52.19723 | 0 |
| 2022-09-29 | 1343.665 | 1293.193 | 1329.132 | -122.66960 | -53.93107 | 0 |
today_signal <- price2[nrow(price2),"KST"]
previous_signal <- price2[(nrow(price2)-1),"KST"]
if (today_signal != previous_signal ) {
if ( (today_signal == TRUE ) & (previous_signal == FALSE ) ) {
signal="BUY"
}
if ( (today_signal == FALSE ) & (previous_signal == TRUE ) ) {
signal="SELL"
}
} else {
signal <- "NONE"
}
if (today_signal==TRUE) {
ens_DMI=TRUE
} else {
ens_DMI=FALSE
}
message(paste("ETH KST signal:",eth_signal))
## ETH KST signal: NONE
par(mfrow=c(2,1))
plot(price2$close ~ as.Date(price2$date),type="l",log="y",
xlab="Date",ylab="price (USD)",main="USD price")
grid()
plot(kst[,1] ~ as.Date(price2$date),type="l",col="blue",
xlab="Date",ylab="KST",main="KST")
lines(as.Date(price2$date), kst[,2] , col="red" )
grid()
par(mfrow=c(1,1))
if ( eth_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"ETH KST signal is", eth_signal,".")
}
ETH Ensemble indicator
This is a combination of a number of indicators.
ens <- params[params$indicator=="Ensemble","parameter"]
myrev <- intToUtf8(rev(utf8ToInt(ens)))
myrev <- unlist(strsplit(myrev,","))
# get thresh
n <- as.numeric(myrev[1])
myrev <- myrev[2:length(myrev)]
# get combination
combo <- sapply(myrev,function(s) { intToUtf8(rev(utf8ToInt(s))) })
message(paste("The combination is",paste(combo,collapse=" ")))
## The combination is KST DC RSI2 stoch DMI EMA SMAcross
message(paste("The buy threshold is",n))
## The buy threshold is 4
indicators <- c("SMA"=ens_SMA,
"EMA"=ens_EMA,
"SMAcross"=ens_SMAcross,
"EMAcross"=ens_EMAcross,
"DMI"=ens_DMI,
"TSI"=ens_TSI,
"stoch"=ens_stoch,
"RSI2"=ens_RSI2,
"DC"=ens_DC)
indicators <- indicators[names(indicators) %in% combo]
message("State of the indicators:")
## State of the indicators:
indicators
## EMA SMAcross DMI stoch RSI2 DC
## FALSE FALSE FALSE FALSE TRUE FALSE
today_count <- sum(indicators)
message(paste("today_count_ETH",today_count,sep="="))
## today_count_ETH=1
today_signal <- today_count>=n
prev_html <- readLines("https://mdz-analytics.com/coins/ETH/alerts_ETH.html")
prev_signal <- length(grep("ETH ensemble indicator is BULLISH",prev_html))>2
eth_signal <- "NONE"
if ( today_signal != prev_signal ) {
if ( today_signal == TRUE ) {
eth_signal="BUY"
} else {
eth_signal="SELL"
}
}
if (today_signal==TRUE) {
message("ETH ensemble indicator is BULLISH")
} else {
message("ETH ensemble indicator is BEARISH")
}
## ETH ensemble indicator is BEARISH
message(paste("ETH ENS signal:",eth_signal))
## ETH ENS signal: NONE
if ( eth_signal != "NONE") {
MYNOTE <- paste(MYNOTE,"ETH Ensemble indicator is", eth_signal,".")
}
Send a push notification.
MYNOTE
## NULL
if ( !is.null(MYNOTE) ) {
MYNOTE <- paste(MYNOTE, ". Visit https://mdz-analytics.com/coins/ETH/alerts_ETH.html for the details")
MYNOTE
pbPost("note", "Crypto Alert", MYNOTE ,channel="eth_signal")
}
Session information
For reproducibility
Click HERE to show session info
sessionInfo()
## R version 4.1.2 (2021-11-01)
## Platform: aarch64-unknown-linux-gnu (64-bit)
## Running under: Ubuntu 22.04.1 LTS
##
## Matrix products: default
## BLAS: /usr/lib/aarch64-linux-gnu/blas/libblas.so.3.10.0
## LAPACK: /usr/lib/aarch64-linux-gnu/lapack/liblapack.so.3.10.0
##
## locale:
## [1] LC_CTYPE=en_AU.UTF-8 LC_NUMERIC=C
## [3] LC_TIME=en_AU.UTF-8 LC_COLLATE=en_AU.UTF-8
## [5] LC_MONETARY=en_AU.UTF-8 LC_MESSAGES=en_AU.UTF-8
## [7] LC_PAPER=en_AU.UTF-8 LC_NAME=C
## [9] LC_ADDRESS=C LC_TELEPHONE=C
## [11] LC_MEASUREMENT=en_AU.UTF-8 LC_IDENTIFICATION=C
##
## attached base packages:
## [1] stats graphics grDevices utils datasets methods base
##
## other attached packages:
## [1] kableExtra_1.3.4 RPushbullet_0.3.4 quantmod_0.4.20 TTR_0.24.3
## [5] xts_0.12.1 zoo_1.8-10 runner_0.4.1 forcats_0.5.1
## [9] stringr_1.4.0 dplyr_1.0.9 purrr_0.3.4 readr_2.1.2
## [13] tidyr_1.2.0 tibble_3.1.8 ggplot2_3.3.6 tidyverse_1.3.2
## [17] jsonlite_1.8.0
##
## loaded via a namespace (and not attached):
## [1] httr_1.4.4 sass_0.4.2 viridisLite_0.4.0
## [4] modelr_0.1.8 bslib_0.4.0 assertthat_0.2.1
## [7] highr_0.9 googlesheets4_1.0.1 cellranger_1.1.0
## [10] yaml_2.3.5 pillar_1.8.0 backports_1.4.1
## [13] lattice_0.20-45 glue_1.6.2 digest_0.6.29
## [16] rvest_1.0.2 colorspace_2.0-3 htmltools_0.5.3
## [19] pkgconfig_2.0.3 broom_1.0.0 haven_2.5.0
## [22] bookdown_0.28 scales_1.2.0 webshot_0.5.3
## [25] svglite_2.1.0 tzdb_0.3.0 googledrive_2.0.0
## [28] generics_0.1.3 ellipsis_0.3.2 cachem_1.0.6
## [31] withr_2.5.0 cli_3.3.0 magrittr_2.0.3
## [34] crayon_1.5.1 readxl_1.4.1 evaluate_0.16
## [37] fs_1.5.2 fansi_1.0.3 xml2_1.3.3
## [40] tools_4.1.2 hms_1.1.1 gargle_1.2.0
## [43] lifecycle_1.0.1 munsell_0.5.0 reprex_2.0.2
## [46] compiler_4.1.2 jquerylib_0.1.4 systemfonts_1.0.4
## [49] rlang_1.0.4 grid_4.1.2 rstudioapi_0.13
## [52] rmarkdown_2.15 gtable_0.3.0 DBI_1.1.3
## [55] curl_4.3.2 R6_2.5.1 lubridate_1.8.0
## [58] knitr_1.39 fastmap_1.1.0 utf8_1.2.2
## [61] stringi_1.7.8 parallel_4.1.2 rmdformats_1.0.4
## [64] Rcpp_1.0.9 vctrs_0.4.1 dbplyr_2.2.1
## [67] tidyselect_1.1.2 xfun_0.32